ExtremeRisks: Extreme Risk Measures

A set of procedures for estimating risks related to extreme events via risk measures such as expectile, value-at-risk, etc. is provided. Estimation methods for univariate independent observations and temporal dependent observations are available. The statistical inference is performed through parametric and non-parametric estimators. Inferential procedures such as confidence intervals and hypothesis testing are obtained by exploiting the asymptotic theory. Adapts the methodologies derived in Padoan and Stupfler (2020) <arxiv:2004.04078>, Daouia et al. (2018) <doi:10.1111/rssb.12254>, Drees (2000) <doi:10.1214/aoap/1019487617>, Drees (2003) <doi:10.3150/bj/1066223272>, de Haan and Ferreira (2006) <doi:10.1007/0-387-34471-3>, de Haan et al. (2016) <doi:10.1007/s00780-015-0287-6>.

Version: 0.0.3
Depends: R (≥ 3.5.0)
Imports: evd, mvtnorm, copula
Published: 2020-05-07
Author: Simone Padoan [cre, aut], Gilles Stupfler [aut]
Maintainer: Simone Padoan <simone.padoan at unibocconi.it>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
URL: mypage.unibocconi.it/simonepadoan/
NeedsCompilation: yes
CRAN checks: ExtremeRisks results


Reference manual: ExtremeRisks.pdf
Package source: ExtremeRisks_0.0.3.tar.gz
Windows binaries: r-devel: ExtremeRisks_0.0.3.zip, r-release: ExtremeRisks_0.0.3.zip, r-oldrel: ExtremeRisks_0.0.3.zip
macOS binaries: r-release: ExtremeRisks_0.0.3.tgz, r-oldrel: ExtremeRisks_0.0.3.tgz


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